University of Groningen
Essays on the U.S. financial cycle: construction, real effects and cross-border spill-overs
Rozite, Kristiana
DOI:
10.33612/diss.93764840
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Publication date: 2019
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Rozite, K. (2019). Essays on the U.S. financial cycle: construction, real effects and cross-border spill-overs. University of Groningen, SOM research school. https://doi.org/10.33612/diss.93764840
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Appendix D. Chapter 1
Appendix
D.
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D.0.1:
A
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Publication Met hod Indicat ors Sam ple Countr y Findings Ig an, Kabundi, Simone, Pin-heiro,T amirisa (2009) Corbae-Ouliaris ideal band-pass filter and lar ge dimensional appro ximate gener alized dynamic fact or model. Indicat ors of real activity : consum ption, in ves tment, inter national tr ade, confidence indicat ors, inter national po rt folios, direct in ves tment flo w s, consumer prices, bank credit to priv ate sect or , house and st ock prices, monetar y agg reg ates, interes tr ates. 1981– 2006 20 adv anced economies The deg ree of co-mo vement betw een house prices, credit, and output varies consider abl y across and ev en wit hin individual countries ov er time. The U .S. has the leading role of economic activity . A drian, Es trella, Shin (2010) Vect or aut o-reg ression model Slope of the yield cur ve, GDP gro wt h, the net interes tmar gin of lar ge commercial bank s, the quarter ly asset gro wt h of shado w bank s, the 3-mont h Treasur y yield, the quarter ly chang e in the Chicago Boar d Op tions Ex chang e Volatility Index (VIX) as a measure of risk. 1990– 2008 U .S. Results are consis tent wit h the hypo thesis of the causal chain that runs from the ter m spread to net interes t mar gin to lending volume and finall y to real gro wt h.Appendix D. Chapter 1
95
Hatzius, Hooper
,
Mishkin, Schoenholtz, Watson
(2010) Fact or models: fact ors obtained as principal com ponents. Eliminate variability in the financial variables explained by current and pas treal activity and inflation. 45 variables, e.g., interes tr ate le vels and spreads, asset prices, st ock and flo w quantities, sur ve ys, 2nd moment and risk measures 1960s; 1980s; 1990s ’; 2000– 2009 U .S. Interes tr ate spreads ha ve been the mos t im portant source of mo vement of Financial conditions index. Chen, Kont onikas, Montagnoli (2012) Multiv ariate unobser ved com ponents model wit h phase shif ts, short and long -ter m cy clical com ponents. Short-ter m interes tr ates, output, real house and st ock prices, credit. 1965– 2010 U .S. Close linkag es amongs tcy clical fluctuations in the variables, more in the short-r un (6 years) than in the long run (15 years). A tt he business cy cle frequency ,output and asset prices tend to lead interes tr ate and credit in a pro-cy clical fashion. Claessens, Kose,T errones (2012) Turing points in log-le vels of the series and concor dance index A gg reg ate claims on the priv ate sect or by deposit mone y bank s, house and equity prices 1960– 2007; 1978– 2007 21 adv anced OECD and 23 emer ging mar ket economies Financial cy cles tend to be long er , deeper ,and shar per than business cy cles. Bo th tend to be more pronounced in emer ging mar kets than those in adv anced countries. Cy cles in output tend to displa y a high deg ree of synchronization wit h cy cles in credit and house prices but no tin equity prices. Drehmann, Bo-rio,T satsaronis (2012) U niv ariate anal ysis of tur ning points, frequency -based filters on the annual gro wt h rates. Isolate cy cles 8–30 years. Filtered series are av er ag ed. Credit to priv ate, non-financial sect or ,credit to GDP ,real property and real equity prices, index of agg reg ate asset prices all series are deflated by CPI. 1960– 2011 A U ,DE, JP ,N O, SE, U .K., U .S. The financial cy cle is bes tchar acterized by the co-mo vement of medium-ter m cy cles in credit and property prices. The financial cy cle lengt h has increased since the mid-1980s. This coincides wit h liber alization and credible anti-inflation regimes.
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Appendix D. Chapter 1
Galati, Koopman, Hindr
ay ant o, Vlekk e (2016) U nobser ved com ponent models wit h univ ariate and similar cy cle specifications. Credit, credit to GDP ,real house prices 1970– 2014 U .S., DE, FR, IT ,ES, NL Financial cy cles are long er than business cy cles and ha ve a higher am plitude. In the U .S. financial cy cles ha ve increased in am plitude and dur ation since the mid-1980s. R ¨uns tler and Vlekk e (2016) Multiv ariate unobser ved com ponents model wit h phase shif ts to es timate trend and cy clical com ponents. Real GDP ,real to tal credit volumes and an index of real residential property prices. 1973 – 2014 U .S., DE, FR, IT , NL, ES Lar ge and long cy cles in credit and house prices wit h a cy cle lengt h 12–18 years. Di fferences across countries in the lengt h and size of cy cles. Financial cy cles are highl y correlated wit h a medium-ter m com ponent in the GDP . N otes: U .S. for the U nited States, A U for A us tr alia, DE for Ger man y, JP for Japan, N O for N or w ay ,SE for Sw eden, UK for the U nited Kingdom, FR for Fr ance, IT for Ital y, ES for Spain, NL for the N et her lands.
